Markets have existed for centuries which allow people to buy and sell financial instruments (e.g., stocks, futures, options, commodities, etc.) from one another. Today, examples of these markets in the United States are: The New York Stock Exchange (“NYSE”), The National Association of Security Dealers Automated Quotation (“NASDAQ”), and The American Stock Exchange (“AMEX”). For one example, these modern securities markets facilitate the exchange of over two billion shares of stock every business day.
When an investor or trader places a large buy or sell order in the securities market, it will rarely be executed in one lot that entirely fills the order. Depending on the executing venue, a particular order may instead be executed in smaller portions, sometimes very small portions, which accumulate to eventually fill the order. As the order is filled piecemeal in the market, execution reports will be generated for each portion.
This process creates problems for the trader, who will ordinarily see a constant stream of trivially-sized execution updates on his screen, or have operation of an automated information management system overloaded by the sheer quantity of executions, making it more difficult to keep track of significant events in an order's life by “drowning out” the important information, or causing the system to perform poorly and get behind with displaying the order status in real time.
Accordingly, what is needed is a reduction of the number of execution reports that the trader or the management system sees in any given period of time, thereby reducing the distraction to which the trader is exposed or the number of updates that the order management system needs to process, while still maintaining the trader's overview of how the order is being executed in the market.